All Bond Short

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 (1) (1.7) 50 0 3 (4) (11) 0 90
60 0 (0.3) 44 0 4 (3) (11) 0 83
120 (1) (0.8) 43 0 5 (4) (33) (1) 82
250 2 1.7 44 1 7 (4) (33) (1) 85
500 2 1.3 45 0 8 (5) (33) (2) 85
760 2 1.3 43 0 8 (4) (51) (2) 86
1260 2 1.5 43 0 8 (4) (51) (2) 86
2520 2 1.2 43 1 10 (6) (74) (3) 87
All 1 0.8 43 0 9 (6) (86) (4) 85

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg (0.2) 0.2 0.3 0 0 0.4 0.2 0.1 0 0.2 0.5 0.4 2 1.4 43.1 231.4 (0.3) (1.1) 2 0.7
2017 (0.2) (0.1) 0.2 (0.3) 0.1 0 0 0 0 0 0 0 (0.3) (0.8) 42.9 81 (0.3) (0.5) 1.8 0.5
2016 (0.5) (0.2) 0.7 0.3 0.1 (0.2) 0.4 0.4 (0.1) 0.4 1.9 (0.2) 3 1.9 44.4 230 (0.3) (1.1) 2 0.7
2015 (0.4) 0.9 (0.1) 0.1 0.1 1.2 0.1 0.3 (0.2) 0.2 0.4 0.2 2.8 1.6 45.1 231 (0.3) (0.9) 2.5 0.7
2014 (0.8) 0 0.7 0.2 (0.4) 0.2 0.2 (0.3) 0.2 0.1 (0.2) 0.6 0.5 0.4 39.1 241 (0.5) (1.1) 2 0.6
2013 0.4 (0.1) 0.2 (0.2) 0.5 0.7 0 0.1 (0.3) (0.1) 0.5 0.5 2.2 2 44 228 (0.3) (1.2) 1.8 0.6
2012 0.4 0.2 0.1 (0.5) (0.4) 0.1 0.1 0.1 0.3 0.5 (0.2) 0.8 1.5 1.3 42.7 227 (0.3) (1.3) 2 0.7
2011 0.5 0.3 (0.1) (0.4) (0.4) 0.7 (1) (0.8) 0.2 0.7 0 (0.5) (0.8) (0.4) 38.1 245 (0.5) (2.8) 3 0.7
2010 (0.8) 0.3 0.3 0.4 (0.7) (0.2) (0.3) (0.3) 0.6 0 0.2 2.8 2.3 0.9 42.4 239 (0.3) (1.6) 3 0.7
2009 2.8 0.8 (0.7) 0.9 0.8 0.9 0 0.5 (0.1) 0.5 (0.1) 1.4 7.7 2.7 51.3 242 (0.6) (1) 2 0.7
2008 (0.6) 0.3 (0.2) 0.9 0.6 0.3 0.1 0.2 0.4 2.3 (1.5) (0.2) 2.6 0.9 43 220 (0.7) (3.3) 1.8 0.6
2007 0 (0.1) 0.1 0.1 0.2 0.4 (0.3) (0.3) 0.6 (0.4) (0.5) 0.6 0.4 0.4 44.4 198 (0.3) (1.4) 1.8 0.5
2006 0.3 0 0.4 0.1 0.3 0.4 (0.2) (0.2) 0 (0.1) (0.1) 0.6 1.5 1.8 48.3 215 (0.2) (0.7) 1.5 0.5
2005 0 0.4 0.3 (0.4) (0.1) 0.2 0.5 0.1 0.5 0.5 (0.3) (0.4) 1.3 1.3 48.1 224 (0.3) (0.9) 1.3 0.5
2004 0.4 (0.3) (0.7) 1.2 0.4 (0.1) (0.1) (0.4) (0.4) (0.1) 0.6 (0.1) 0.4 0.2 41.3 236 (0.6) (1.9) 2.5 0.6
2003 0.6 (0.3) 0.2 0 (0.8) 0.1 1 0.2 (0.7) 1.2 0.2 0.8 2.5 0.9 40.7 241 (0.7) (2.1) 2 0.7
2002 0.2 (0.2) 1.3 (0.2) (0.2) (0.4) (0.7) (0.8) (0.7) 0.8 0.7 (1.7) (1.9) (1.2) 35.7 221 (0.4) (3.3) 2.3 0.6
2001 0.1 (0.1) (0.1) 0.9 0.3 0.1 (0.3) 0 (0.6) 0 2.1 0.5 2.9 1.1 46.4 232 (0.9) (1.4) 1.8 0.6
2000 (0.1) (0.5) (0.6) 0 0.4 (0.1) (0.2) (0.4) (0.1) (0.1) (0.1) 0 (1.8) (1.5) 40.6 214 (0.3) (2.3) 2.3 0.6